Recursive robust regulator for discrete-time Markovian jump linear systems via penalty game approach

This paper introduces a robust penalty game approach to deal with the regulation problem for discrete-time Markovian jump linear systems subject to uncertainties. The solution provided is based on recursive Riccati equations which do not depend on any auxiliary parameter to be adjusted. In virtue of the similarity with the standard nominal regulator problem, the stability of this robust regulator can be easily proved. A numerical example is shown to illustrate the effectiveness of this new approach.